Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0026
Annualized Std Dev 0.2395
Annualized Sharpe (Rf=0%) -0.0109

Row

Daily Return Statistics

Close
Observations 4484.0000
NAs 1.0000
Minimum -0.2540
Quartile 1 -0.0047
Median 0.0008
Arithmetic Mean 0.0001
Geometric Mean 0.0000
Quartile 3 0.0058
Maximum 0.1528
SE Mean 0.0002
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0005
Variance 0.0002
Stdev 0.0151
Skewness -1.2106
Kurtosis 37.1020

Downside Risk

Close
Semi Deviation 0.0113
Gain Deviation 0.0112
Loss Deviation 0.0139
Downside Deviation (MAR=210%) 0.0155
Downside Deviation (Rf=0%) 0.0112
Downside Deviation (0%) 0.0112
Maximum Drawdown 0.6690
Historical VaR (95%) -0.0192
Historical ES (95%) -0.0371
Modified VaR (95%) -0.0182
Modified ES (95%) -0.0182
From Trough To Depth Length To Trough Recovery
2007-02-06 2008-11-20 NA -0.6690 3556 454 NA
2004-01-23 2004-05-10 2004-12-27 -0.1813 234 75 159
2005-01-03 2005-03-23 2006-10-26 -0.1432 459 56 403
2003-06-04 2003-08-05 2003-10-13 -0.0613 92 44 48
2003-11-13 2003-11-20 2003-11-28 -0.0403 11 6 5

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2003 NA NA NA NA 0.6 -0.4 1.1 0.5 0.3 0.7 -1.2 -1 0.6
2004 -0.1 -0.6 1.8 -0.3 -1.2 0.3 1 -0.4 0.4 0.9 0.4 0.4 2.6
2005 0.4 0.2 -1 -1.5 -0.7 0.6 -0.3 0.9 0.6 -0.1 0.4 0.1 -0.4
2006 1 -0.1 -0.1 0.1 1.4 -0.4 0.2 -0.1 0.5 0.2 -0.3 0.6 3.1
2007 -0.1 -0.4 0 0.6 -0.4 0.4 -0.6 1.5 -0.1 -1.6 3 1 3.3
2008 0.8 -2.1 2.3 -0.1 1.4 1.3 3.5 0.8 4.8 -2.7 -5.7 3.9 7.9
2009 -1.2 -1.3 0.7 4.4 0.8 -0.2 2.7 -0.5 -1.7 -3.6 2.1 0.4 2.4
2010 0.1 1.4 0.3 -0.2 -1.3 -0.6 -0.4 -0.2 -0.1 0.5 0.7 0.5 0.8
2011 0.6 -0.5 -0.3 -0.1 -1 0 1.8 1.2 -0.9 -1.8 -0.6 0.7 -0.8
2012 1.1 -0.6 0.8 0.4 -1.8 0.9 0.3 1 -0.2 0.9 -0.3 1.3 3.8
2013 0.2 0 0.1 -0.1 -1.5 0.7 0.8 0.7 0.6 0.2 0.2 0.2 2.1
2014 0.3 -0.2 2.7 0.4 0 -0.5 0.1 0.2 0.4 0.3 -1 0.5 3.1
2015 -1.1 -1 0.9 0.1 -0.1 1.7 1.4 -1.3 -1.3 0.3 0.1 0.2 -0.3
2016 1.2 2.7 -0.5 -1 0.1 0.3 -0.8 0.1 0.4 -0.8 -1.1 0.1 0.7
2017 -1.1 0.9 0.1 0.7 0.8 0.7 0 0.6 0.2 0.3 0.3 0.3 3.9
2018 -0.9 -0.9 0.8 0.2 0.2 0.4 0.9 -0.2 0.5 1 0.4 -1.3 1.2
2019 0.1 0.1 1.1 0.3 -1 1 -0.1 0 -0.4 0.5 0.5 0.5 2.7
2020 -0.8 -3.8 -8.9 -4.1 2.1 0.2 0.2 0.1 0.9 -2.1 0.4 -1.1 -16.1
2021 1.7 2.3 0.9 NA NA NA NA NA NA NA NA NA 5.1

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2003-05-28  15.6 SPY    95.7  0.0028   0.0347   0.0423    0.149  -0.115    -0.322       NA <NA>     NA    NA       NA
2 2003-05-29  15.5 SPY    95.4 -0.0026   0.0299   0.0395    0.131  -0.111    -0.319       NA <NA>     NA    NA       NA
3 2003-05-30  15.6 SPY    97.0  0.016    0.0361   0.0548    0.142  -0.0939   -0.298       NA <NA>     NA    NA       NA
4 2003-06-02  15.5 SPY    97.4  0.0041   0.0383   0.0593    0.158  -0.0921   -0.306       NA <NA>     NA    NA       NA
5 2003-06-03  15.7 SPY    97.8  0.0041   0.0246   0.0487    0.181  -0.0634   -0.291       NA <NA>     NA    NA       NA
6 2003-06-04  15.4 SPY    99.2  0.0144   0.0365   0.0659    0.188  -0.0523   -0.281       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart